Optimal Control Problems with Disorder


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Abstract

We consider a generalization of processes with disorder, namely processes with a vector disorder. For these problems, we consider a class of optimal control problems that do not detect the disorder. We propose a computational method for solving control problems on a finite time interval and with an objective functional defined at the end of the interval, based on the use of the martingale technique. We consider a computational experiment for a model with two barriers and two stopping times.

About the authors

G. I. Belyavskii

Southern Federal University; Vorovich Institute of Mathematics, Mechanics, and Computer Science

Author for correspondence.
Email: beliavsky@hotmail.com
Russian Federation, Rostov-on-Don; Rostov-on-Don

N. V. Danilova

Southern Federal University; Vorovich Institute of Mathematics, Mechanics, and Computer Science

Author for correspondence.
Email: danilova198686@mail.ru
Russian Federation, Rostov-on-Don; Rostov-on-Don

I. A. Zemlyakova

Southern Federal University; Vorovich Institute of Mathematics, Mechanics, and Computer Science

Author for correspondence.
Email: eizzzie@yandex.ru
Russian Federation, Rostov-on-Don; Rostov-on-Don

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